Slightly Richer, At Cheaps, CPI Monthly Tomorrow

ACGBs sit slightly higher (YM +1.0 & XM +2.0). However, current levels are respectively 7bp and 5bp lower than the highs recorded during overnight trading. Given the lack of significant local news, it is likely that local market participants have been closely monitoring headlines and keeping an eye on the movements in US tsys during Asia-Pac trading. US tsy futures are 03+ cheaper at 113-03+, after reaching a high of 113-09 in early Asia-Pac trade.

• Cash ACGBs are 2bp richer with the AU-US 10-year yield differential unchanged at +20bp.
• Swap rates are 2-3bp lower with EFPs little changed.
• The bills strip bull flattens with pricing flat to +5.
• RBA-dated OIS pricing is 1-4bp softer across meetings. A 38% chance of a 25bp hike at the July meeting is priced.
• The local calendar heats up tomorrow with the release of May’s CPI Monthly, ahead of Thursday's release of Retail Sales for May. CPI monthly is expected to print at 6.1% y/y, after the unexpected jump to 6.8% in April. Meanwhile, retail sales are expected to provide further confirmation that the consumer slowdown is underway.
• The AOFM plans to sell tomorrow A$300mn of the 1.75% 21 June 2051 bond.